Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0059 |
| Annualized Std Dev | 0.1421 |
| Annualized Sharpe (Rf=0%) | -0.0418 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1205 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.1342 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0090 |
| Skewness | -0.2141 |
| Kurtosis | 38.7020 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0069 |
| Loss Deviation | 0.0077 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.5536 |
| Historical VaR (95%) | -0.0116 |
| Historical ES (95%) | -0.0209 |
| Modified VaR (95%) | -0.0083 |
| Modified ES (95%) | -0.0083 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-01-08 | 2008-10-10 | 2012-07-19 | -0.5536 | 3405 | 2455 | 950 |
| 2016-09-08 | 2020-03-19 | NA | -0.3842 | 1141 | 888 | NA |
| 2012-11-13 | 2013-08-16 | 2016-09-07 | -0.2548 | 961 | 191 | 770 |
| 2012-07-30 | 2012-08-27 | 2012-10-05 | -0.0499 | 49 | 21 | 28 |
| 2012-10-31 | 2012-11-05 | 2012-11-07 | -0.0165 | 6 | 4 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0.4 | 0.8 | -0.4 | 0 | 0.4 | 1.8 | 0 | -0.9 | 0.5 | 1 | 2.1 | 5.9 |
| 2000 | 0 | 0.5 | 1.5 | -1 | 1.6 | 1 | 0.9 | -1.8 | 0 | -1.4 | 0.5 | -0.4 | 1.3 |
| 2001 | -1 | 0.5 | 0.4 | 0.4 | 0.1 | 0 | 0.2 | 0.3 | 0.7 | 0.1 | 0.5 | -0.7 | 1.7 |
| 2002 | 0.2 | 0.1 | 0.9 | 0.2 | 0.3 | 0.7 | -0.3 | 0.3 | -0.5 | 0.8 | 0.1 | 0.3 | 3.1 |
| 2003 | 0.6 | 0.3 | -0.3 | -0.3 | 0.9 | 0.7 | -0.4 | -0.1 | -0.1 | 0.5 | -0.1 | 0.1 | 2 |
| 2004 | 0.1 | -0.5 | 0.3 | 0.4 | 0.6 | 1 | -0.1 | -0.1 | -0.2 | 0.3 | 0.1 | 0.8 | 2.4 |
| 2005 | 0.1 | -0.1 | -0.4 | 0.2 | 0.5 | 0 | -0.2 | 0.2 | 0.2 | -0.3 | -0.3 | 0.4 | 0.2 |
| 2006 | -0.4 | -0.1 | -0.1 | 0.4 | 0.7 | 0.2 | -0.2 | 0.4 | -0.3 | 0.3 | 0.3 | 0.4 | 1.6 |
| 2007 | 0.4 | -0.4 | 0.2 | 0.2 | -0.3 | 0.9 | -0.2 | 0.7 | 0.3 | -0.3 | 1.2 | 0.8 | 3.7 |
| 2008 | 0.5 | -1.1 | 1.1 | -0.5 | 0 | 0.2 | 0.2 | 0.7 | 1.9 | -1.9 | -1 | 0.2 | 0.2 |
| 2009 | -0.1 | -1.7 | 0.8 | 0.4 | 0 | 0.3 | 1 | 1.4 | 0.6 | -2.2 | -0.3 | -0.3 | -0.4 |
| 2010 | 0.6 | 0.5 | 0.2 | 0 | 0.2 | 0.2 | 0.4 | -0.1 | 0.5 | -0.5 | -0.7 | 1.6 | 2.8 |
| 2011 | 1.4 | 0.2 | 0.7 | 0.3 | -0.5 | 1.1 | 1.1 | 1.1 | -0.1 | 0.6 | -0.5 | 0.3 | 5.9 |
| 2012 | 0.1 | 0.4 | 0.1 | 0.1 | -0.2 | 0.4 | -0.1 | -1.2 | 0.5 | 0.5 | -0.8 | 0.1 | 0 |
| 2013 | -0.1 | -0.4 | -0.4 | 0.4 | -1.8 | -0.2 | 0.4 | -0.1 | -0.1 | -0.6 | -0.1 | 0.3 | -2.9 |
| 2014 | -0.3 | -0.3 | -0.5 | 0.2 | -1.4 | -0.6 | 0.2 | -0.3 | 1 | 0 | 0.4 | -0.2 | -1.9 |
| 2015 | 0.7 | 1.1 | -0.2 | -0.4 | 0.6 | 0.4 | 0.7 | 1 | 0.4 | 0.2 | 0.3 | 0.3 | 5.2 |
| 2016 | 0.4 | 1.8 | 0 | -0.3 | 0.3 | 0 | -0.1 | 0.4 | -0.4 | -0.4 | -0.5 | 1 | 2.2 |
| 2017 | -0.5 | -0.4 | -0.5 | -0.5 | 0.1 | -0.1 | 0.6 | -0.1 | 0.5 | 0.4 | 0.3 | -0.3 | -0.5 |
| 2018 | -0.1 | -0.1 | -0.2 | 0.4 | -0.5 | 0.1 | -0.4 | 0.6 | -0.3 | 0.3 | -0.9 | 1.1 | -0.1 |
| 2019 | 0.4 | 0.1 | -0.4 | 0.1 | -0.4 | -1.1 | 0.2 | 0.3 | 0.6 | -0.1 | 0 | 0.4 | 0.2 |
| 2020 | 0.5 | -1.2 | -1.3 | 1.4 | 0.1 | 0.3 | 0.6 | 0.4 | -0.1 | 0.6 | 0.1 | 0.5 | 1.8 |
| 2021 | -0.3 | 0.1 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
